文献类型：期刊文献

英文题名：Taylor's Law of Temporal Fluctuation Scaling in Stock Illiquidity

作者：Cai, Qing[1];Xu, Hai-Chuan[2];Zhou, Wei-Xing[3]

机构：[1]East China Univ Sci & Technol, Dept Finance, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Postdoctoral Res Stn, Dept Finance,Sch Business, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Res Ctr Econophys, Dept Math, Dept Finance,Sch Business,Sch Sci, Shanghai 200237, Peoples R China

年份：2016

卷号：15

期号：4

外文期刊名：FLUCTUATION AND NOISE LETTERS

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000385431900010)】；

基金：The data sets used in this work were kindly provided by a leading Chinese stock market data provider RESSET (http://resset.cn/) for scientific research. This work was partly supported by the National Natural Science Foundation of China (Grants No. 71501072, 71532009 and 71131007) and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Taylor's law; mean-variance analysis; temporal fluctuation scaling; stock illiquidity; Chinese stock markets

摘要：Taylor's law of temporal fluctuation scaling, variance similar to a(mean)(b), is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a solid temporal fluctuation scaling law in stock illiquidity by investigating the mean-variance relationship of the high-frequency illiquidity of almost all stocks traded on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) during the period from 1999 to 2011. Taylor's law holds for A-share markets (SZSE Main Board, SZSE Small & Mediate Enterprise Board, SZSE Second Board, and SHSE Main Board) and B-share markets (SZSE B-share and SHSE B-share). We find that the scaling exponent b is greater than 2 for the A-share markets and less than 2 for the B-share markets. We further unveil that Taylor's law holds for stocks in 17 industry categories, in 28 industrial sectors and in 31 provinces and direct-controlled municipalities with the majority of scaling exponents b is an element of (2, 3). We also investigate the Delta t-min illiquidity and find that the scaling exponent b(Delta t) increases logarithmically for small Delta t values and decreases fast to a stable level.